Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0874
Annualized Std Dev 0.2249
Annualized Sharpe (Rf=0%) 0.3886

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1267
Quartile 1 -0.0060
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0074
Maximum 0.0978
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0142
Skewness -0.2119
Kurtosis 6.8125

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0099
Loss Deviation 0.0107
Downside Deviation (MAR=210%) 0.0148
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.6013
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0331
Modified VaR (95%) -0.0218
Modified ES (95%) -0.0380
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-04-27 -0.6013 983 444 539
2020-02-21 2020-03-18 2020-06-08 -0.3391 75 19 56
2000-01-03 2003-03-12 2003-12-26 -0.3272 1001 800 201
2018-09-21 2018-12-24 2019-04-08 -0.2191 136 65 71
2011-07-08 2011-10-03 2012-02-03 -0.1869 146 61 85

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.2 0.1 -0.1 -0.3 0.6 0.5 -1.9 0.1 0.5 -0.7 1.2 1.1 1.3
2000 3.6 -1.2 -1.1 3.1 0.7 1.1 1.4 2 -1.7 0.8 0.1 0.4 9.7
2001 -0.1 -1.6 0.3 1.1 -0.4 0.4 -0.1 1.5 -0.1 1.9 0.8 -1.5 2.1
2002 -1 0.9 -1.9 0.5 1.8 -3 -3.1 0 2.8 1.5 -0.9 0.6 -1.9
2003 0.9 1.2 1.2 -0.9 2.1 -0.2 -0.1 0.9 2.8 -0.1 1 0.7 9.8
2004 -0.1 0.6 0.4 -0.8 -0.1 -0.6 0.1 0.3 1.2 0.4 1.6 -0.4 2.8
2005 0.1 1.1 -0.8 0.2 0.4 0.2 0 -1 0.7 0.1 1.1 -0.6 1.6
2006 0.3 0.7 -0.3 -0.6 1.6 0.1 -0.9 0.8 -0.5 -0.8 -0.1 -0.5 -0.3
2007 0.4 -0.4 0.3 0.3 0.6 0.1 0.1 1.6 1.3 -2.5 1.5 -0.4 2.8
2008 0.9 -2.5 4.5 5.8 -0.8 -1.3 -1 -1.1 0 4.1 -8.7 1.8 0.8
2009 -2.5 -0.7 1.8 -0.5 4.8 0.6 0 -1.8 -2.2 -2.6 1.6 -0.9 -2.5
2010 1.3 1.6 0.7 -2.1 -1.5 0.8 0.7 3.4 0.1 -0.2 2.1 -0.2 6.8
2011 1.2 -1.9 0.6 -0.1 -2.3 2 -0.5 -1.2 -2.9 -2.2 0.1 -0.6 -7.6
2012 0.3 0.8 0.4 0.7 -3.2 2.1 -0.4 0.4 -0.1 1.1 0.1 2 4.4
2013 0.6 0.2 -0.8 -0.5 -1.1 0.7 1.5 -0.6 0.8 0.2 0.1 0.4 1.5
2014 -1.4 0.4 1.4 0.4 0.1 1.1 -0.4 0 -1.3 1 -1.1 -0.4 -0.4
2015 -1.1 -0.1 -0.4 1.4 0.3 1.1 0.3 -2.5 0.7 0.2 1 -1 -0.2
2016 0.6 2.6 0.4 0.5 -0.1 1 0.2 0.2 0.8 -0.7 0 -0.8 4.9
2017 -0.2 1.1 0 0.1 0.9 0.5 0.2 0.5 0.4 0 0 -0.6 3
2018 -1.1 -1.1 1.4 0.1 0.7 0.2 -0.5 0.4 -0.3 2 0.7 1.1 3.7
2019 -1.5 0.8 1.1 -1.2 -1.3 0.9 -1.4 -0.6 -0.8 0.7 -0.6 0.1 -3.8
2020 0.3 -0.6 -4.5 -3.7 1 1 0.5 1 1.3 -2.2 0.7 0.1 -5.2
2021 2.6 2.3 0.6 NA NA NA NA NA NA NA NA NA 5.6

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart